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Econometrics Procedures
 

The CQLIM Procedure

WEIGHT Statement

  • WEIGHT variable </ option>;

The WEIGHT statement specifies a variable that supplies weighting values to use for each observation in estimating parameters. The log likelihood for each observation is multiplied by the corresponding weight variable value.

If the weight of an observation is nonpositive, that observation is not used in the estimation.

You can add the following option after a slash (/):

NONORMALIZE

specifies that the weights must be used as is. When you omit this option, the weights are normalized so that they add up to the actual sample size. Weights w Subscript i are normalized by multiplying them by StartFraction n Over sigma-summation Underscript i equals 1 Overscript n Endscripts w Subscript i Baseline EndFraction, where n is the sample size.

For more information about combining the WEIGHT statement with the BAYES statement, see the section Bayesian Analysis with Weighted Likelihoods.

Last updated: October 12, 2022